I am glad to introduce a new addin for SSMS 2008 you might find useful.
The addin attaches a new function to the ObjectExplorer’s context menu.
You can easily generate INSERT statements for all data of a selected table.

Find the setup and sourcecode on my codeplex project CodePlex: DataScripter
I’m using SSMS Express 2008 and after going through setup on datascripter, I started ssms and the menu in your screenshot is not there. Should I have something specific to get it working?